THE APPLICATION OF THE CLASSICAL METHODS TO ASSESS THE SECURITIES PORTFOLIOS ON THE CAPITAL MARKET IN ROMANIA WITHIN THE FINANCIAL CRISIS

The present paper aims at applying the classical performance analysis methods for a market portfolio on the capital market in Romania. Within the current conditions, after the troubles of the international financial markets, the analysis becomes a pre and post investment necessity for the portfolios formed by investments in risky securities. Actually, we wish to assess the quality of the active management strategy of a portfolio compared to the passive management strategy. This analysis is essential for the investor who takes risks on the market in moments of crisis. The portfolio managers justify their existence if they acquire on average by risky strategies better performances then those achieved by a passive strategy. Thus, we will follow the analysis of some liquid securities in different ratios compared to those characteristic for the BET index of Bucharest Stock Exchange. Choosing the securities is something we do according to liquidity, profitability, (profit, risk) following their historic evolution. For a result without errors we must define a clear algorithm of the working stages. There are three stages to cover: 1) the first stage refers to the operation by which we set the characteristics of the securities considered historically. For this, one must take into consideration not only the profits achieved, but also the risk supported by the investor. 2) The second analyzes analytically how these performances were achieved and which are the factors they are due to. 3) The third stage consists in determining the indicators specific to the classical evaluation measures of the securities portfolios: a. indicators based on systematic risk (Jensen's coefficient, Treynor's ratio, Treynor and Black's assessment ratio (or the information ratio)). b. indicators based on the profits type deviations ( total alpha coefficient, Sharpe's relation). At the end of these stages we will interpret results, analyze the investment activity, predict evolution scenarios and elaborate conclusions.